Models in Finance (MODFIN)

Área

AC Matemática > UC Mestrados

Activa nos planos curriculares

Actuarial Science > Actuarial Science > 2º Ciclo > Unidades Curriculares Obrigatórias > Models in Finance

Nível

2º Ciclo (M)

Tipo

Não Estruturante

Regime

Semestral

Carga Horária

Aula Teórica (T): 0.0 h/semana

Aula TeoricoPrática (TP): 3.0 h/semana

Trabalho Autónomo: 185.0 h/semestre

Créditos ECTS: 8.0

Objectivos

The aim of this course is to develop the necessary skills in order to understand and apply the mathematical methods, of analytical, stochastic and numerical type, that play an important role in financial stochastic models either in discrete or continuous time. In particular, we are interested in models for the valuation of derivative securities. These skills are also important in order to communicate with other financial professionals and to critically evaluate modern financial theories.

Programa

- Brownian motion
- The Itô integral and Itô?s Formula
- Stochastic Differential Equations
- Stochastic interest rates models and models of security prices
- Introduction to the valuation of derivative securities
- The Binomial model
- The Black-Scholes model
- Models for the term structure of interest rates
- Credit risk models

Metodologia de avaliação

The final grade is awarded on the basis of a written exam (75%) and of a computer based exam - numerical methods (25%). In the computer based exam, the students should use the software Excel or R.

Bibliografia

Principal